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The Use Of Encompassing Tests For Forecast Combinations
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Book Synopsis The Use of Encompassing Tests for Forecast Combinations by : Turgut Kisinbay
Download or read book The Use of Encompassing Tests for Forecast Combinations written by Turgut Kisinbay and published by International Monetary Fund. This book was released on 2007-11 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S. macroecoomic data set. The results are encouraging as the algorithm forecasts outperform benchmark model forecasts, in a mean square error (MSE) sense, in a majority of cases.
Book Synopsis Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System by :
Download or read book Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System written by and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System by : Mauro Costantini
Download or read book Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System written by Mauro Costantini and published by . This book was released on 2012 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE System by : Mauro Costantini
Download or read book Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE System written by Mauro Costantini and published by . This book was released on 2010 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Predicting Recessions by : Chikako Baba
Download or read book Predicting Recessions written by Chikako Baba and published by International Monetary Fund. This book was released on 2011-10-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and combines the forecasts. An application to U.S. data shows that forecasts obtained from the algorithm are consistently among the best in a large comparative forecasting exercise at various forecasting horizons. In addition, the selected indicators are reasonable and consistent with the standard leading indicators followed by many observers of business cycles. The suggested algorithm has several advantages, including wide applicability and objective variable selection.
Book Synopsis Combination of Forecast Methods Using Encompassing Tests by : Mauro Costantini
Download or read book Combination of Forecast Methods Using Encompassing Tests written by Mauro Costantini and published by . This book was released on 2008 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Literaturverz. S. 8 - 9.
Book Synopsis Forecast Combinations in a DSGE-VAR Lab by : Mauro Costantini
Download or read book Forecast Combinations in a DSGE-VAR Lab written by Mauro Costantini and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore the benefits of forecast combinations based on forecast- encompassing tests compared to simple averages and to Bates-Granger combinations. We also consider a new combination method that fuses test-based and Bates-Granger weighting. For a realistic simulation design, we generate multivariate time-series samples from a macroe- conomic DSGE-VAR model. Results generally support Bates-Granger over uniform weighting, whereas benefits of test-based weights depend on the sample size and on the prediction horizon. In a corresponding application to real-world data, simple averaging performs best. Uni- form averages may be the weighting scheme that is most robust to empirically observed irregularities.
Book Synopsis Forecast Evaluation and Combination by : Francis X. Diebold
Download or read book Forecast Evaluation and Combination written by Francis X. Diebold and published by . This book was released on 1996 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is obvious that forecasts are of great importance and widely used in economics and finance. Quite simply, good forecasts lead to good decisions. The importance of forecast evaluation and combination techniques follows immediately -- forecast users naturally have a keen interest in monitoring and improving forecast performance. More generally, forecast evaluation figures prominently in many questions in empirical economics and finance. We provide selective account of forecast evaluation and combination methods. First we discuss evaluation of a single forecast, and in particular, evaluation of whether and how it may be improved. Second, we discuss the evaluation and comparison of the accuracy of competing forecasts. Third, we discuss whether and how a set of forecasts may be combined to produce a superior composite forecast. Fourth, we describe a number of forecast evaluation topics of particular relevance in economics and finance, including methods for evaluating direction-of-change forecasts, probability forecasts and volatility forecasts.
Book Synopsis Forecast Combination and Encompassing by : Francis X. Diebold
Download or read book Forecast Combination and Encompassing written by Francis X. Diebold and published by . This book was released on 1989 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecast Encompassing Tests for the Expected Shortfall by : Timo Dimitriadis
Download or read book Forecast Encompassing Tests for the Expected Shortfall written by Timo Dimitriadis and published by . This book was released on 2019 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Accords, which stipulate its use as the primary market risk measure for the international banking regulation. We utilize joint loss functions for the pair ES and Value at Risk to set up three ES encompassing test variants. The tests are built on misspecification robust asymptotic theory and we verify the finite sample properties of the tests in an extensive simulation study. We use the encompassing tests to illustrate the potential of forecast combination methods for different financial assets.
Book Synopsis Handbook of Economic Forecasting by : Graham Elliott
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Book Synopsis A Companion to Economic Forecasting by : Michael P. Clements
Download or read book A Companion to Economic Forecasting written by Michael P. Clements and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together in a single volume a range of contrasting approaches and views. Uniquely surveying forecasting in a single volume, the Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed.
Book Synopsis Tests for Forecast Encompassing when Forecasts Depend on Estimated Regression Parameters by : Kenneth David West
Download or read book Tests for Forecast Encompassing when Forecasts Depend on Estimated Regression Parameters written by Kenneth David West and published by . This book was released on 1999 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Economic Forecasting by : Graham Elliott
Download or read book Economic Forecasting written by Graham Elliott and published by Princeton University Press. This book was released on 2016-04-05 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and integrated approach to economic forecasting problems Economic forecasting involves choosing simple yet robust models to best approximate highly complex and evolving data-generating processes. This poses unique challenges for researchers in a host of practical forecasting situations, from forecasting budget deficits and assessing financial risk to predicting inflation and stock market returns. Economic Forecasting presents a comprehensive, unified approach to assessing the costs and benefits of different methods currently available to forecasters. This text approaches forecasting problems from the perspective of decision theory and estimation, and demonstrates the profound implications of this approach for how we understand variable selection, estimation, and combination methods for forecasting models, and how we evaluate the resulting forecasts. Both Bayesian and non-Bayesian methods are covered in depth, as are a range of cutting-edge techniques for producing point, interval, and density forecasts. The book features detailed presentations and empirical examples of a range of forecasting methods and shows how to generate forecasts in the presence of large-dimensional sets of predictor variables. The authors pay special attention to how estimation error, model uncertainty, and model instability affect forecasting performance. Presents a comprehensive and integrated approach to assessing the strengths and weaknesses of different forecasting methods Approaches forecasting from a decision theoretic and estimation perspective Covers Bayesian modeling, including methods for generating density forecasts Discusses model selection methods as well as forecast combinations Covers a large range of nonlinear prediction models, including regime switching models, threshold autoregressions, and models with time-varying volatility Features numerous empirical examples Examines the latest advances in forecast evaluation Essential for practitioners and students alike
Book Synopsis Feature Papers of Forecasting by : Sonia Leva
Download or read book Feature Papers of Forecasting written by Sonia Leva and published by MDPI. This book was released on 2021-08-06 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nowadays, forecast applications are receiving unprecedent attention thanks to their capability to improve the decision-making processes by providing useful indications. A large number of forecast approaches related to different forecast horizons and to the specific problem that have to be predicted have been proposed in recent scientific literature, from physical models to data-driven statistic and machine learning approaches. In this Special Issue, the most recent and high-quality researches about forecast are collected. A total of nine papers have been selected to represent a wide range of applications, from weather and environmental predictions to economic and management forecasts. Finally, some applications related to the forecasting of the different phases of COVID in Spain and the photovoltaic power production have been presented.
Book Synopsis Entropy Application for Forecasting by : Ana Jesus Lopez-Menendez
Download or read book Entropy Application for Forecasting written by Ana Jesus Lopez-Menendez and published by MDPI. This book was released on 2020-12-29 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows the potential of entropy and information theory in forecasting, including both theoretical developments and empirical applications. The contents cover a great diversity of topics, such as the aggregation and combination of individual forecasts, the comparison of forecasting performance, and the debate concerning the tradeoff between complexity and accuracy. Analyses of forecasting uncertainty, robustness, and inconsistency are also included, as are proposals for new forecasting approaches. The proposed methods encompass a variety of time series techniques (e.g., ARIMA, VAR, state space models) as well as econometric methods and machine learning algorithms. The empirical contents include both simulated experiments and real-world applications focusing on GDP, M4-Competition series, confidence and industrial trend surveys, and stock exchange composite indices, among others. In summary, this collection provides an engaging insight into entropy applications for forecasting, offering an interesting overview of the current situation and suggesting possibilities for further research in this field.
Book Synopsis Estimation with Response Error and Non-response by : Andrea Moro
Download or read book Estimation with Response Error and Non-response written by Andrea Moro and published by . This book was released on 1999 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
